A-Share Screening with Weekly MACD, Volatility, and Five Limit-Ups

Summary

This note describes a Chinese equity screening rule that combines daily price amplitude above 1, a positive weekly MACD reading, exclusion of ST-designated stocks, and five consecutive limit-up sessions. It says to run the screen before 10 a.m. and provides example formulas and Python snippets intended to identify matching stocks. The strategy blends a momentum filter with a volatility condition and a regulatory-status exclusion.

The document offers no backtest, performance data, or evidence that the screen predicts future gains. It warns that sentiment, capital flows, and policy changes can make prices diverge from expectations, and suggests adding financial measures or adjusting criteria by sector and market conditions. The examples also need careful review: the code may not consistently implement the stated weekly signal or timing, and the described limit-up check relies on historical consecutive sessions. The screen is therefore a rule specification, not validated investment advice.

Key ideas

• The screen requires daily amplitude above 1 and a positive weekly MACD condition.
• It excludes ST-designated stocks and looks for five consecutive limit-up sessions.
• The stated selection time is before 10 a.m. on the trading day.
• The document provides sample formulas and code but no performance evidence.
• Market sentiment, funding conditions, and policy shifts may undermine the signal.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.